Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi

Öz

Bu çalışmada Borsa İstanbul endekslerinde (BIST 100, Sınai ve Mali) Adaptif Piyasa Hipotezinin geçerli olup olmadığı günlük veriler kullanılarak incelenmiştir. Çalışmada günlük getiri verileri, iki yıllık alt örneklere ayrılmış ve hisse senedi getirilerinin öngörülebilirliğinin zaman içinde nasıl değiştiğini belirlemek için doğrusal ve doğrusal olmayan testler uygulanmıştır. Otokorelasyon ve runs testlerinden elde edilen sonuçlar, genellikle 3 endeksin etkin ve etkin olmayan dönemler arasında geçiş yaptığını ve dolayısıyla piyasaların Adaptif Piyasa Hipotezi ile uyumlu olduğunu ortaya koymuştur. Varyans oranı testi ile doğrusal olmayan testlerin sonuçları ise hisse senedi getirilerinin tahmin edilebilir olduğunu dolayısıyla piyasaların etkin olmadığını göstermiştir.

Anahtar Kelimeler

• Adaptif Piyasa Hipotezi,Doğrusal Testler,Doğrusal Olmayan Testler,Borsa İstanbul

Testing the Validity of Adaptive Market Hypothesis in Borsa Istanbul Indices

Öz

In this study, whether the Adaptive Market Hypothesis is valid in Borsa Istanbul indices (BIST 100, Industrial and Financial) is examined by using daily data. Daily return data were divided into two-year subsamples and linear and nonlinear tests were applied to determine how the stock returns’ independence changed over time. The results autocorrelation and runs tests showed that the efficiency of each market varied within the sub-periods and therefore the markets were consistent with the Adaptive Market Hypothesis. The results of the variance ratio test and nonlinear tests showed that stock returns are predictable and therefore the markets are inefficient.

Anahtar Kelimeler

• Adaptive Market Hypothesis,Linear Tests,Nonlinear Tests,Borsa Istanbul

Kaynakça

1. Alagidede, Paul. 2011. “Return Behavior in Africa’s Emerging Equity Markets.” The Quarterly Review of Economics and Finance 51(2): 133–140.
2. Barber, Brad & Odean, Terrance. 2001. “Boys will be Boys: Gender, Overconfidence, and Common Stock Investment.” The Quarterly Journal of Economics 116(1): 261-292.
3. Boya, Christophe M. 2019. “From Efficient Markets to Adaptive Markets: Evidence from the French Stock Exchange.” Research in International Business and Finance 49: 156-165.
4. Broock, William, Scheinkman, Jose A., Dechert, W. Davis, & LeBaron, Blake. 1996. “A Test for Independence Based on the Correlation Dimension.” Econometric Reviews 15(3): 197-235.
5. De Bondt, Werner F. & Thaler, Richard. 1985. “Does the Stock Market Overreact?” The Journal of Finance 40: 793-805.
6. Engle, Robert F. 1982. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica: Journal of the Econometric Society, 987-1007.
7. Ertaş, Fatih Coşkun & Özkan, Oktay. 2018. “Piyasa Etkinliği Açısından Adaptif Piyasa Hipotezi’nin Test Edilmesi: Türkiye ve ABD Hisse Senedi Piyasaları Örneği.” Finans Politik & Ekonomik Yorumlar 55(642): 23-40.
8. Fama, Eugene F. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” The Journal of Finance 25(2): 383-417.

9. Ghazani, Majid Mirzaee & Araghi, Mansour Khalili. 2014. “Evaluation of the Adaptive Market Hypothesis as an Evolutionary Perspective on Market Efficiency: Evidence from the Tehran Stock Exchange.” Research in International Business and Finance 32: 50-59.
10. Gyamfi, Emmanuel. Numapau. 2018. “Adaptive Market Hypothesis: Evidence from the Ghanaian Stock Market.” Journal of African Business 19(2): 195-209.
11. Hatipoğlu, Mercan & Uçkun, Nurullah. 2016. “Gelişmekte Olan Ülke Borsalarında Doğrusal Olmayan Bağımlılık: Öncü Testlerden Örnekler.” Çankırı Karatekin Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 7(2): 268-281.
12. Hiremath, Gourishankar S. & Kumari, Jyoti. 2014. “Stock Returns Predictability and the Adaptive Market Hypothesis in Emerging Markets: Evidence from India.” SpringerPlus 3(1): 428.
13. Hiremath, Gourishankar S. & Narayan, Seema. 2016. “Testing the Adaptive Market Hypothesis and Its Determinants for the Indian Stock Markets.” Finance Research Letters 19: 173-180.
14. Hsieh, David A. 1989. “Testing for Nonlinear Dependence in Daily Foreign Exchange Rates.” Journal of Business 62(3): 339-368.
15. https://tr.investing.com/indices/turkey-indices, Erişim tarihi 19.06.2019.
16. Ito, Mikio & Sugiyama, Shunsuke. 2009. “Measuring the Degree of Time Varying Market Inefficiency.” Economics Letters 103(1): 62-64.
17. Khuntia, Sashikanta & Pattanayak, JK. 2018. “Adaptive Market Hypothesis and Evolving Predictability of Bitcoin.” Economics Letters 167: 26-28.
18. Kim, Jae H., Shamsuddin, Abul & Lim, Kiang-Ping. 2011. “Stock Return Predictability and the Adaptive Markets Hypothesis: Evidence from Century-Long US Data.” Journal of Empirical Finance 18(5): 868-879.
19. Lim, Kian-Ping & Brooks, Robert. 2006. “The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Tests Statistics.” SSRN Working Paper.
20. Lim, Kian-Ping & Brooks, Robert. 2011. “The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature.” Journal of Economic Surveys 25(1): 69-108.
21. Lim, Kian-Ping, Weiwei, Luo & Kim, Jae H. 2013. “Are US Stock Index Returns Predictable? Evidence from Automatic Autocorrelation-Based Tests, Applied Economics 45(8): 953-962.
22. Lim, Kian-Ping & Hooy, Chee-Wooi. 2013. “Non‐Linear Predictability in G7 Stock Index Returns.” The Manchester School 81(4): 620-637.
23. Ljung, Greta. M. & Box, George E. 1978. “On a Measure of Lack of Fit in Time Series Models.” Biometrika 65(2): 297-303.
24. Lo, Andrew W. 2004. “The Adaptive Markets Hypothesis.” The Journal of Portfolio Management 30(5): 15-29.
25. Lo, Andrew W. 2005. “Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis.” Journal of Investment Consulting 7(2): 21-44.
26. Lo, Andrew W. & MacKinlay, A. Craig. 1988. “Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test.” The Review of Financial Studies 1(1): 41-66.
27. Noda, Akihiko. 2016. “A Test of the Adaptive Market Hypothesis Using A Time-Varying AR Model in Japan.” Finance Research Letters 17: 66-71.
28. Popovıć, Sasa, Mugoša, Ana & Đurovıć, Andrija. 2013. “Adaptive Markets Hypothesis: Empirical Evidence from Montenegro Equity Market.” Ekonomska Istrazivanja – Economic Research 26(3): 31-46.
29. Rojas, Omar, Coronado, Semei & Venegas-Martínez, Francisco. 2017. “Adaptive Market Hypothesis: Evidence from the Mexican Stock Exchange Index.” Journal of Applied Economic Sciences, 3(49): 688-697.
30. Shah, Anand & Bahri, Anu. 2019. “Are Stock Markets Adaptive? Evidence from US, Hong Kong and India. Evidence from US, Hong Kong and India.” SSRN papers, 1-36.
31. Shahid, Muhammed Naeem & Sattar, Abdul. 2017. “Behavior of Calendar Anomalies, Market Conditions and Adaptive Market Hypothesis: Evidence from Pakistan Stock Exchange.” Pakistan Journal of Commerce and Social Sciences 11(2): 471-504.
32. Smith, Graham. 2012. “The Changing and Relative Efficiency of European Emerging Stock Markets.” The European Journal of Finance 18(8): 689-708.
33. Todea, Alexandru, Ulici, Maria & Silaghi, Simona. 2009. “Adaptive Markets Hypothesis: Evidence from Asia-Pacific Financial Markets.” The Review of Finance and Banking 1(1): 7-13.
34. Tsay, Ruey S. 1986. “Nonlinearity Tests for Time Series.” Biometrika 73(2): 461-466.
35. Uyar, Aydın & Uzuner, Mustafa. 2015. “Türkiye’de Altın Piyasasının Zayıf Formda Etkinliğinin Koşu Testi Uygulaması ile Sınanması.” Finansal Araştırmalar ve Çalışmalar Dergisi 7(12): 197-208.
36. Urquhart, Andrew & Hudson, Robert. 2013. “Efficient or Adaptive Markets? Evidence from Major Stock Markets Using Very Long Run Historic Data.” International Review of Financial Analysis 28: 130-142.
37. Urquhart, Andrew & McGroarty, Frank. 2014. “Calendar Effects, Market Conditions and the Adaptive Market Hypothesis: Evidence from Long-Run U.S. Data.” International Review of Financial Analysis 35: 154-166.
38. Urquhart, Andrew & McGroarty, Frank. 2016. “Are Stock Markets Really Efficient? Evidence of the Adaptive Market Hypothesis.” International Review of Financial Analysis 47: 39-49.